There is an awesome MMA gym called the MAT Academy in Church Village, I teach the jiu-jitsu there... 20-30mins from Cardiff & Bridgend... http://thematacademywales.co.uk/

In Cardiff itself there are a lot of clubs, most are taught by people without much experience/credentials. I would advise seeking out Paul Jenkins, he is teaching out of a few locations atm I think but looking to get his own place soon.